UYG Options History — December 2020

In December 2020, UYG traded between $38.79 and $42.19. ATM implied volatility averaged 41.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 5.1% (HV 20d: 36.8%). Max pain ranged from $28.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2020-12-03: Highest Volume — 478 contracts
  • 2020-12-30: Largest IV drop — 13.2% change
  • 2020-12-11: Highest IV Rank — 16.4%
  • 2020-12-11: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.21$38.79$42.19$39.30$42.19
Max Pain$32.55$28.00$33.00$28.00$33.00
ATM IV41.8%37.5%45.2%39.5%42.1%
Expected Move12.1%11.0%13.0%11.3%12.1%
HV 20d36.8%23.2%61.0%61.0%23.6%
HV 60d48.5%45.6%51.9%51.9%45.6%
IV Rank14.4%11.8%16.4%13.0%14.6%
IV Percentile32.4%17.5%42.9%27.0%32.5%
Term Structure-0.9%-3.4%6.2%3.6%-1.6%
VWIV43.4%37.1%50.8%50.8%42.5%
Skew 25d4.1%-1.5%13.5%10.5%0.9%
Skew 10d8.1%-3.0%23.1%22.8%2.9%
Call IV 25d40.9%31.9%44.0%32.5%40.1%
Put IV 25d45.0%40.2%48.4%43.0%41.0%
Bid-Ask Spread %57.0739.3686.5884.6467.78
Gamma HHI0.170.130.250.150.25
Net GEX137.4K90.1K249.1K90.1K125.7K
Net DEX-6.8M-8.9M-4.7M-5.7M-5.6M
Net VEX-11.1K-12.1K-9.2K-9.2K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.680.020.14
Total Volume139.5847811324
Total OI3,336.52,6674,2992,9182,670

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$39.30$28.0039.5%11.3%61.0%13.0%50.8%10.5%3.6%90.1K-5.7M-9.2K0.0284.64N/AN/A11122,094824
2020-12-02$39.76$28.0041.4%11.9%59.2%14.2%43.1%13.5%3.4%92.6K-6.0M-9.6K0.0686.58N/AN/A310192,148824
2020-12-03$39.70$33.0041.6%12.1%59.0%14.3%46.9%3.9%0.0%106.9K-6.9M-10.3K0.0753.24N/AN/A447312,400840
2020-12-04$40.82$33.0041.3%12.2%58.8%14.1%45.8%3.5%-2.2%123.4K-8.5M-11.1K0.1045.84N/AN/A127132,740867
2020-12-07$40.15$33.0040.0%12.8%59.3%13.3%47.6%4.2%-2.8%131.6K-8.2M-11.4K0.9344.63N/AN/A100932,763870
2020-12-08$40.27$33.0037.5%12.3%36.4%11.8%45.7%3.2%-1.5%129.8K-8.2M-11.4K0.5046.35N/AN/A109552,760929
2020-12-09$39.94$33.0042.1%12.1%36.6%14.6%46.3%3.4%-1.0%128.4K-7.9M-11.4K0.1642.53N/AN/A97162,749944
2020-12-10$39.92$33.0041.1%11.8%36.2%14.0%37.1%3.3%-1.1%135.3K-7.9M-11.1K0.0745.45N/AN/A5942,761947
2020-12-11$39.28$33.0045.2%13.0%34.2%16.4%41.1%6.4%-3.0%142.7K-7.5M-11.7K0.0441.70N/AN/A23192,788947
2020-12-14$38.79$33.0043.6%12.5%30.4%15.5%45.0%5.4%-1.7%171.4K-7.3M-11.6K1.6839.36N/AN/A56943,003953
2020-12-15$39.90$33.0042.7%12.3%30.8%15.0%43.4%5.9%-1.8%175.1K-8.2M-12.1K0.0445.55N/AN/A4723,0431,025
2020-12-16$40.12$33.0041.8%12.0%30.8%14.4%42.8%5.5%6.2%201.4K-8.5M-11.5K0.0061.84N/AN/A5603,0721,027
2020-12-17$40.49$33.0041.5%11.9%30.5%14.2%39.4%5.3%-3.2%189.6K-8.9M-11.4K0.0655.68N/AN/A258153,0791,027
2020-12-18$39.53$33.0041.1%11.8%31.9%14.0%44.8%4.1%-1.5%249.1K-8.0M-11.8K0.8949.80N/AN/A97863,2741,025
2020-12-21$40.02$33.0044.6%12.8%31.6%16.1%44.3%2.2%-3.4%119.3K-4.9M-11.8K0.7467.42N/AN/A77572,254413
2020-12-22$39.77$33.0043.6%12.5%30.8%15.5%42.2%4.6%-0.9%120.2K-4.7M-11.9K0.0757.76N/AN/A2822,297456
2020-12-23$40.55$33.0043.5%12.5%26.6%15.4%43.0%1.3%-2.0%120.7K-5.2M-11.9K0.9159.71N/AN/A55502,292458
2020-12-24$40.47$33.0040.9%11.7%26.6%13.8%39.4%-0.9%0.3%119.6K-5.1M-11.6K0.0064.12N/AN/A6602,278498
2020-12-28$41.21$33.0042.5%12.2%26.9%14.8%42.0%-1.5%-3.0%117.9K-5.4M-10.8K0.2056.11N/AN/A79162,212498
2020-12-29$41.02$33.0044.3%12.7%24.4%15.9%42.8%4.6%-3.2%113.8K-5.0M-10.8K0.2467.67N/AN/A51122,169512
2020-12-30$41.46$33.0038.4%11.0%23.2%12.4%37.9%1.4%0.8%118.1K-5.2M-10.3K0.0071.70N/AN/A802,152521
2020-12-31$42.19$33.0042.1%12.1%23.6%14.6%42.5%0.9%-1.6%125.7K-5.6M-10.2K0.1467.78N/AN/A2132,149521